An extension of mean-variance hedging to the discontinuous case

Research output: Contribution to journalArticle

32 Citations (Scopus)

Abstract

Our goal in this paper is to give a representation of the mean-variance hedging strategy for models whose asset price process is discontinuous as an extension of Gouriéroux, Laurent and Pham (1998) and Rheinländer and Schweizer (1997). However, we have to impose some additional assumptions related to the variance-optimal martingale measure.

Original languageEnglish
Pages (from-to)129-139
Number of pages11
JournalFinance and Stochastics
Volume9
Issue number1
DOIs
Publication statusPublished - 2005 Jan
Externally publishedYes

Fingerprint

Mean-variance Hedging
Martingale Measure
Model
Strategy
Variance-optimal martingale measure
Hedging strategies
Mean-variance hedging
Asset prices

Keywords

  • Incomplete market
  • Mean-variance hedging
  • Reverse Hölder inequality
  • Variance-optimal martingale measure

ASJC Scopus subject areas

  • Statistics, Probability and Uncertainty
  • Finance

Cite this

An extension of mean-variance hedging to the discontinuous case. / Arai, Takuji.

In: Finance and Stochastics, Vol. 9, No. 1, 01.2005, p. 129-139.

Research output: Contribution to journalArticle

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